Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 12 | 15 | 11 |
| Score | 1.18 | 3.77 | 0.82 |
| Market Cap (Millions USD) | 10019.52 | 9797.53 | 10131.01 |
| Predicted Beta | 0.93 | 0.93 | 0.92 |
| Idiosyncratic Volatility | 1.42 | 1.61 | 1.64 |
Annualized return and volatility
| XLI | |
|---|---|
| Annualized Return | 0.0720 |
| Annualized Std Dev | 0.2065 |
| Annualized Sharpe (Rf=0%) | 0.3485 |
Row
Daily Return Statistics
| XLI | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.0940 |
| Quartile 1 | -0.0055 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0067 |
| Maximum | 0.1071 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0130 |
| Skewness | -0.1234 |
| Kurtosis | 5.8758 |
Downside Risk
| XLI | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0090 |
| Loss Deviation | 0.0099 |
| Downside Deviation (MAR=210%) | 0.0141 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.6226 |
| Historical VaR (95%) | -0.0205 |
| Historical ES (95%) | -0.0313 |
| Modified VaR (95%) | -0.0199 |
| Modified ES (95%) | -0.0331 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2011-04-29 | -0.6226 | 911 | 364 | 547 |
| 2000-12-12 | 2002-10-09 | 2004-12-01 | -0.4352 | 1015 | 464 | 551 |
| 2011-05-02 | 2011-10-03 | 2012-03-15 | -0.2584 | 223 | 109 | 114 |
| 2018-09-24 | 2018-12-24 | 2019-07-24 | -0.2411 | 212 | 65 | 147 |
| 2015-02-23 | 2016-01-20 | 2016-04-27 | -0.1570 | 302 | 234 | 68 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | XLI | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | -0.7 | -0.5 | 0.0 | 2.3 | 0.8 | 0.0 | 0.8 | 0.9 | 0.0 | 0.1 | 0.9 | 0.0 | 4.6 |
| 2001 | -1.3 | -0.7 | 0.0 | 0.9 | -0.3 | 0.0 | 0.6 | 0.0 | -0.9 | 2.1 | 0.0 | 0.0 | 0.3 |
| 2002 | -0.8 | 2.3 | 0.0 | 0.3 | 0.0 | -2.2 | -2.2 | 0.0 | 4.4 | 1.3 | 0.0 | 0.0 | 2.9 |
| 2003 | 0.0 | 0.0 | 1.4 | -1.5 | 0.0 | 0.2 | -0.8 | 0.0 | 2.0 | 0.0 | 1.5 | 0.0 | 2.8 |
| 2004 | 0.0 | 0.5 | 0.6 | 0.0 | 0.0 | -1.5 | 0.0 | 0.0 | 1.4 | 0.3 | 1.7 | 0.0 | 3.0 |
| 2005 | 0.3 | 0.3 | -1.0 | 0.0 | 0.4 | 0.3 | -0.1 | -0.4 | 0.0 | -0.3 | 1.1 | 0.0 | 0.7 |
| 2006 | 0.9 | 0.8 | 0.0 | 0.3 | 1.0 | 0.0 | -0.6 | 0.7 | 0.0 | -0.5 | -0.6 | 0.0 | 2.0 |
| 2007 | 0.9 | -0.2 | 0.0 | 0.6 | 0.4 | 0.0 | 0.7 | 0.0 | 1.3 | -1.7 | 0.0 | 0.0 | 2.0 |
| 2008 | 2.3 | 0.0 | 2.3 | 0.6 | 0.0 | -0.1 | -0.1 | 0.0 | -2.4 | 0.0 | -8.2 | 0.0 | -5.8 |
| 2009 | 0.0 | 0.0 | 2.2 | 1.1 | 4.6 | 0.4 | 0.0 | -1.7 | -2.5 | 0.0 | 1.6 | 0.0 | 5.8 |
| 2010 | 1.5 | 1.3 | 0.6 | 0.0 | -2.2 | -0.3 | 0.0 | 4.0 | 0.1 | 0.0 | 2.6 | 0.0 | 7.7 |
| 2011 | 1.4 | -2.1 | 0.8 | 0.0 | -3.3 | 1.8 | -0.6 | -1.6 | 0.0 | -3.0 | -0.3 | 0.0 | -6.9 |
| 2012 | 1.1 | 0.3 | 0.0 | 0.3 | -2.8 | 0.0 | -0.7 | 0.0 | 0.5 | 1.8 | 0.0 | 0.0 | 0.5 |
| 2013 | 1.0 | -0.2 | -1.2 | -1.3 | 0.0 | 1.0 | 1.7 | 0.0 | 0.6 | 0.7 | 0.0 | 0.0 | 2.3 |
| 2014 | 0.0 | 0.0 | 0.7 | -0.2 | 0.0 | 0.6 | -0.1 | 0.0 | -1.9 | 0.0 | -1.3 | 0.0 | -2.2 |
| 2015 | 0.0 | 0.0 | -0.7 | 1.3 | 0.4 | 0.5 | 0.0 | -2.7 | -0.2 | 0.0 | 0.5 | 0.0 | -0.9 |
| 2016 | -0.2 | 2.0 | 0.5 | 0.0 | 0.1 | 0.3 | -0.1 | 0.1 | 0.0 | -0.9 | 0.7 | 0.0 | 2.4 |
| 2017 | -0.2 | 1.7 | 0.0 | -0.3 | 0.6 | 0.0 | -0.3 | 0.1 | 0.0 | -0.1 | -1.2 | 0.0 | 0.3 |
| 2018 | -0.2 | -2.0 | 0.0 | -0.5 | 1.1 | 0.0 | -1.4 | 0.0 | 0.9 | 1.8 | 0.0 | 0.0 | -0.3 |
| 2019 | 0.2 | 0.1 | 2.1 | -0.7 | 0.0 | 0.1 | -1.9 | 0.0 | -2.4 | 2.2 | 0.0 | -0.4 | -0.9 |
Row
Rolling Performance Chart
Snail Trail Chart
